Manager - Counterparty Credit Risk Measurement
Scotiabank
Date: 7 hours ago
City: Toronto, Ontario
Contract type: Full time
Requisition ID: 227885
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
Join a purpose-driven winning team, committed to results, in an inclusive and high-performing culture.
As a member of the Counterparty Credit Risk Measurement team, you will work with the Bank’s Counterparty Credit Risk (CCR) systems, which includes measurement of Potential Future Exposure (PFE), IMM capital and xVA pricing. The team is at the forefront of new bank-wide initiatives related to CCR system- and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and credit-risk officers, support existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices.
Is this role right for you?
Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
Join a purpose-driven winning team, committed to results, in an inclusive and high-performing culture.
As a member of the Counterparty Credit Risk Measurement team, you will work with the Bank’s Counterparty Credit Risk (CCR) systems, which includes measurement of Potential Future Exposure (PFE), IMM capital and xVA pricing. The team is at the forefront of new bank-wide initiatives related to CCR system- and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and credit-risk officers, support existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices.
Is this role right for you?
- Take a leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE) for SFT and Derivatives, Internal Model Method for CCR (IMM) capital, CVA and FVA calculations (XVAs).
- Design and implement algorithms and models for the CCR Monte Carlo engine which measures PFE, IMM capital and XVAs. Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to promote models into production.
- Operate complex processes in Unix/Linux Environments for computations of CCR measures (e.g. processing input data, running Monte Carlo simulation for derivatives, calculating CCR measures, etc.).
- Communicate with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models.
- Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials.
- Execute model runs on a regular basis for reporting and perform corresponding analyses.
- Become an active member of the team including our D&I initiatives and communities.
- Solid quantitative background and problem-solving skills with a keen interest in Finance, Economics, Derivatives, Risk management and Regulations.
- Advanced degree in mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are a bonus.
- Python programing and working in Unix/Linux Environments are essential. Experience in other Object-Oriented programing is a bonus.
- Knowledge of industry-wide methods for CCR calculations and/or experience with CCR management.
- Effective communication and specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and pushing forward projects.
- Diversity, Equity, Inclusion & Allyship - We strive to create an inclusive culture where every employee is empowered to reach their fullest potential, respected for who they are, and are embraced through bias-free practices and inclusive values across Scotiabank. We embrace diversity and provide opportunities for all employee to learn, grow & participate through our various Employee Resource Groups (ERGs) that span across diverse gender identities, ethnicity, race, age, ability & veterans.
- Accessibility and Workplace Accommodations - We value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. Scotiabank continues to locate, remove and prevent barriers so that we can build a diverse and inclusive environment while meeting accessibility requirements.
- Upskilling through online courses, cross-functional development opportunities, and tuition assistance.
- Competitive Rewards program including bonus, flexible vacation, personal, sick days and benefits will start on day one.
- Dynamic Office - Fully equipped gym, showers, games room, bowling alley, micro market, free tea & coffee, universal washrooms, wellness rooms, and lots of space for team collaboration.
- Community Engagement - no matter where you choose to work from; we offer opportunities for community engagement & belonging with our various programs such as hackathons, contests, cooking with friends, Humans of Digital and much more!
Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.
See more jobs in Toronto, ON